To validate the economics of CIM (Chimera Investment Corporation), there are several factors you can consider. First, you can analyze the monthly reports on the 6 securitizations. These reports provide information on how the collateral in CIM’s securitizations is performing. By assessing the delinquency rates, foreclosure rates, real estate-owned percentages, and loss severity percentages, you can gain insights into the overall health of the collateral.
Additionally, you can examine ABX index pricing and price visibility into comparable underlying securities. The ABX index tracks the performance of mortgage-backed securities (MBS) and can serve as a benchmark for evaluating CIM’s securities. By comparing CIM’s securities’ pricing and performance against the ABX index and comparable securities, you can assess how CIM’s portfolio is performing relative to the broader market.
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